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I have 3 different models and I do the Hosmer–Lemeshow test. I have a p-value and a Chi2 value. How can I know which model fits the best my data?

Khi-2 || Pr > Khi-2

12.04 || 0.19

7.47 || 0.71

4.34 || 0.46

Is it the one with the biggest p-value?

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The Hosmer-Lemeshow test has been replaced by a number of more powerful methods that have been described elsewhere on this site. Use the Search bar to find them.

Model selection is often discouraged, and using goodness-of-fit statistics to select models is especially discouraged. Better would be to carefully specify a model that is as flexible as your sample size will support, fit the model, and stop.

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  • $\begingroup$ but could we say that the best model here is the one with the biggest p-value? $\endgroup$ – aazf FAefaf Feb 22 '16 at 10:52
  • $\begingroup$ Not in the least. Don't use a goodness-of-fit statistic to select a model. Use an accepted optimality criterion, and even there it was intended to be used only when selecting from among 2-3 pre-specified models. In general, model selection is not a great idea. Model specification is. $\endgroup$ – Frank Harrell Feb 22 '16 at 12:51

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